Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0204
Annualized Std Dev 0.2337
Annualized Sharpe (Rf=0%) 0.0873

Row

Daily Return Statistics

Close
Observations 3317.0000
NAs 1.0000
Minimum -0.1357
Quartile 1 -0.0080
Median 0.0006
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0083
Maximum 0.0859
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0147
Skewness -0.2072
Kurtosis 4.9853

Downside Risk

Close
Semi Deviation 0.0106
Gain Deviation 0.0098
Loss Deviation 0.0104
Downside Deviation (MAR=210%) 0.0154
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.5143
Historical VaR (95%) -0.0225
Historical ES (95%) -0.0331
Modified VaR (95%) -0.0234
Modified ES (95%) -0.0397
From Trough To Depth Length To Trough Recovery
2008-12-19 2011-02-10 2020-02-28 -0.5143 2816 540 2276
2020-03-10 2021-03-18 NA -0.3111 261 259 NA
2008-03-24 2008-06-02 2008-09-08 -0.1292 102 44 58
2008-01-24 2008-02-25 2008-03-20 -0.1290 38 22 16
2008-09-18 2008-09-24 2008-10-06 -0.1066 13 5 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA NA 1.1 1.1
2008 0.4 1 -2.6 0.8 0.8 -0.3 -0.5 -0.6 0.6 -1.5 5.7 -3.8 -0.1
2009 -4 -1.9 0.7 -1.2 -4.6 -1.4 3.3 -1.3 1.5 2.2 -1.6 -0.4 -8.7
2010 -1.2 -0.1 0.1 1.6 1 0.9 2.6 -3 -0.8 -0.5 -2.8 2.6 0.1
2011 -1.6 0.9 0.7 0.5 2.3 0 1.5 2.5 4.1 5.2 -0.7 0.5 17.1
2012 -1.4 -2.1 -2 -0.8 3.5 -2.1 -0.8 1.9 0.7 -0.9 -0.6 -2.5 -7.1
2013 -1.6 0.8 0.9 1.4 -0.4 0.5 -3 0.3 -0.7 -1.6 0.4 -0.9 -4.1
2014 1.1 0.2 -1.3 1.4 -0.3 -1.3 0.6 -0.2 2.8 -0.2 -0.7 0 1.9
2015 2.4 0.9 1.8 -2 -1.4 -2.1 1.1 0.6 0.7 1 1.8 0 4.9
2016 -0.6 -2.2 0.3 0.8 0.5 2.1 -1.4 0.1 -1.2 0 -1.2 0.3 -2.4
2017 -0.8 -2.3 0.1 -1 -0.1 -0.4 1.1 -1.4 0.2 0.8 2.3 0.1 -1.5
2018 -2 1.1 1 -0.6 -0.6 -0.2 -1.1 -0.4 -1.1 0.1 0.5 0.6 -2.8
2019 -0.8 -1.3 -2 0.7 1.7 -0.3 2.4 0 0.4 -0.4 -0.1 -1.4 -1.3
2020 1 2.3 0.9 0.8 -0.8 -0.5 -0.1 1.6 -0.2 -1.4 -1.9 0.1 1.7
2021 0.2 -1.9 0.9 NA NA NA NA NA NA NA NA NA -0.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-12-13  95   SPY    149. -0.0021  -0.0125   0.0066   0.0011   0.0518    0.238    0.642 GLD    78.5 -2.47e-2  -0.011 
2 2007-12-14  94   SPY    147. -0.0127  -0.0248  -0.0034  -0.0063   0.0374    0.218    0.621 GLD    78.5  3.00e-4  -0.001 
3 2007-12-19  97.8 SPY    146.  0       -0.0234   0.0147  -0.042    0.0277    0.221    0.606 GLD    79.2 -1.00e-4  -0.0155
4 2007-12-20  98.5 SPY    147.  0.0063  -0.0152   0.0149  -0.034    0.0322    0.229    0.635 GLD    78.7 -7.20e-3   0.0022
5 2007-12-21  96.0 SPY    148.  0.0143   0.0118   0.051   -0.0184   0.0476    0.237    0.670 GLD    80.1  1.82e-2   0.0201
6 2007-12-26  93.2 SPY    150.  0.0021   0.0252   0.061   -0.0173   0.0625    0.238    0.661 GLD    81.5  1.72e-2   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart